PENGARUH FAMA FRENCH THREE FACTOR MODEL TERHADAP RETURN SAHAM

Abstract

Abstrak

      Penelitian ini menguji secara empiris tiga faktor model Fama dan French terhadap pengembalian saham-saham 12 perusahaan pertambangan yang terdaftar di Bursa Efek Indonesia (BEI) dengan menggunakan data triwulan dimulai dari bulan Januari 2007 sampai September 2015. Berdasarkan hasil uji stasioneritas, seluruh data dalam penelitian ini adalah stasioner atau memiliki varian konstan. Begitupun dengan uji asumsi normalitas, multikolinieritas, heteroskedastisitas dan autokorelasi, seluruh variabel yang digunakan dalam penelitian ini bebas dari asumsi-asumsi tersebut. Hasil regresi linier berganda menunjukkan pengaruh positif antara premi risiko dengan return saham, sedangkan pada variabel size dan book to market equity tidak berpengaruh terhadap return saham. Hasil uji F menunjukkan bahwa premi risiko, size dan book to market equity secara bersama-sama memiliki pengaruh positif dan signifikan  terhadap return saham dan hasil adjusted R square menunjukkan seluruh variabel memiliki keterkaitan sebesar 31%, sedangkan 69% sisanya dipengaruhi oleh variabel lain diluar penelitian ini. 

Kata kunci: return saham, premi risiko, size, book to market equity.

Abstract

      This study empirically examined Three Factors Model Fama and French to stock return of 12 mining companies listed in Indonesia Stock Exchange with quarter data, started from January 2007 to September 2015. Based on stationary test, all data on this study were stationary and had constant variance. As well as normality test, multicolinearity test, heteroskedasticity test and autocorrelation test, all data on this study were free from the classical assumption. The result of double linier regression showed positive effect between premium risk and stock returns. In other side, size and book to market equity was not showing their effect on stock return instead. The result of F test showed that premium risk, size and book to market equity simultaneously had positive significant effect on predicted stock return. Adjusted R square showed that all variables had 31% impact, meanwhile 69% of the model were influenced by other variables outside of this research.

Keywords: stock return, premium risk, size, book to market equity.